PDF-hConverting 1-Day Volatility to h-Day Volatility:Scaling by is Worse

Author : test | Published Date : 2016-08-22

h We show that the common practice of converting 1day volatility estimates to hday estimates by scaling by is inappropriate and produces overestimates of the variabilityof

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hConverting 1-Day Volatility to h-Day Volatility:Scaling by is Worse: Transcript

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